Multiple stoch_simul after estimation

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Multiple stoch_simul after estimation

Postby Jeppe Druedahl » Fri Mar 09, 2012 4:34 pm

Hi

I want to have both the standard and the HP-filtered moments. My IRFS and variance decomposition should not be on HP-filtered data. I write the the following in my .mod file:

stoch_simul(order=1,conditional_variance_decomposition=[8 24 48],irf=100,nograph);
baseline = oo_;

stoch_simul(hp_filter=1600,order=1,nograph);
baselinehp = oo_;

It seems that the variance decomposition and IRF option is carried over to the second stock_simul as well. Any way to avoid this? My model is rather big so the HP-filtering takes too long.

(If I do it the other way arround the HP-filtering is carried over...)

/ Jeppe
Jeppe Druedahl
 
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Re: Multiple stoch_simul after estimation

Postby jpfeifer » Fri Mar 09, 2012 5:42 pm

Try putting
Code: Select all
options_.conditional_variance_decomposition=[];

between the two stoch_simul-statements. Alternatively:
Code: Select all
stoch_simul(hp_filter=1600,order=1,conditional_variance_decomposition=[],nograph);
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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Location: Cologne, Germany


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